Bao-cao-du-lieu-ve-Zephyr

TRƯỜNG ĐẠI HỌC KINH TẾ TP.HCM TRUNG TÂM DỮ LIỆU - PHÂN TÍCH KINH TẾ BÁO CÁO DỮ LIỆU PHỤC VỤ NGHIÊN CỨU CHỦ ĐỀ: DỮ LIỆU VÀ HƯỚNG NGHIÊN CỨU SỬ DỤNG CƠ SỞ DỮ LIỆU M&A ZEPHYR TP.HCM, 7/2017 Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn MỤC LỤC DỮ LIỆU M&A ZEPHYR 1.1 Giới thiệu 1.2 Download liệu từ Zephyr NGHIÊN CỨU SỬ DỤNG DỮ LIỆU M&A ZEPHYR 10 Tài liệu tham khảo 15 Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn DỮ LIỆU M&A ZEPHYR 1.1 Giới thiệu Cơ sở liệu Zyphyr cung cấp thông tin M&A (mua bán sáp nhập), hợp đồng mạo hiểm tin đồn Hiện nay, sở liệu Zyphyr đánh giá sở liệu M&A sâu rộng giới sử dụng rộng rãi nghiên cứu M&A Zephyr có thông tin giao dịch (deals) với độ dài thời gian mười năm lịch sử, cịn lâu lịch sử giao dịch Châu Âu Ngồi thơng tin thống thơng báo rộng rãi giao dịch hoàn thành, Zehpyr cịn có thơng tin tin đồn (rumours) Các tiêu/biến (variables) cung cấp Zehpyr Tổng quan giao dịch (Deal overview) - Tên giao dịch, loại, tình trạng, giá trị thơng tin chi tiết đối tượng mục tiêu, tổ chức thực thâu tóm (quốc gia, lĩnh vực kinh doanh, …) Cấu trúc thời gian giao dịch (Deal structure and dates) - Loại giao dịch, cách thức chi trả, tình trạng giao dịch theo thời gian tin đồn, thông báo thức thời gian hồn thành Giá trị giao dịch (Deal values) - Giá trị thực tế giao dịch, thơng tin tình trạng tài đối tượng mục tiêu, tổ chức thực thâu tóm (v.d.: giá trị cổ phần giá trị doanh nghiệp, giá trị doanh nghiệp dựa mô hình tài cơng ty, …) Giá cổ phiếu giao dịch (Deal stock prices) - Đối với đối tượng mục tiêu, tổ chức thực thâu tóm, Zephyr cho biết giá cổ phiếu thời điểm ba tháng trước tin đồn, ba tháng trước thông báo, ngày trước tin đồn thông báo, tuần tháng sau sau hoàn thành Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn Giao diện trang chủ Zephyr 1.2 Download liệu từ Zephyr Bước 1: truy cập website: https://zephyr.bvdinfo.com (phải có kết nối Trung tâm Dữ liệu Phân tích kinh tế truy cập) click vào biểu tượng ZEPHYR ADVANCED từ trang chủ Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn Bước 2: Chọn quốc gia/khu vực địa lý Bước 3: Chọn khoảng thời gian Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn Bước 4: Chọn “view list of deals” Bước 5: Chọn “export” Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn Zephyr cho export tối đa 50 sheets report lần Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn Bước 6: Download excel file File download Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn Ngồi ra, lựa chọn số tiêu để hệ thống export Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn File download Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn NGHIÊN CỨU SỬ DỤNG DỮ LIỆU M&A ZEPHYR Một số hướng nghiên cứu - Micoeconomic/financial topics at firm/bank level + M&A innovation at firm level + M&A stock price/return + Bank M&A bank‟s efficiency/risk/stability - Macroeconomic environment and firm/bank‟s specific problems + Determinants and proplems related to of M&A flows + Foreign direct investment (FDI) decisions No Study Stiebale, J (2016) Crossborder M&As and innovative activity of acquiring and target firms Journal of International Economics, 99, 1-15 Mateev, M (2017) Is the M&A announcement effect different Research objectives and scope - Analyze the effects of cross-border mergers and acquisitions (M&As) on the innovation of European firms from 1978 to 2008: (i) What is the impact of cross-border M&As on innovation in the merged entity? (ii) Do crossborder M&As induce a relocation of innovative activity across countries and between acquirers and acquisition targets? - Investigate the effect of M&A announcements on stock Data (key variables) Methods Results Dependent variables: - The number of patent applications filed with the European Patent Office (EPO) per year (from Patstat) - R&D investment (from European R&D scoreboard) Independent variables: (from Zephyr and Amadeus) - Total factor productivity (TFP) - Sales (measure firm size) - Working capital: current assets less current liabilities relative to total assets - Capital intensity: tangible fixed assets divided by sales - Propensityscore matching - Difference-indifferences (DID) - GMM - Linear and non-linear instrumental variable (IV) models - Results indicate a considerable increase in post-acquisition innovation in the merged entity This is mainly driven by inventors based in the acquirer's country, while innovation in the target's country tends to decline - The asymmetry of effects between acquiring and target firms increases with pre-acquisition differences in knowledge stocks, indicating a relocation of innovative activities towards more efficient usage within multinational firms - Information concerning M&A announcements and deal prices available from Zephyr database - Stock price and shares - Conventional market model - Marketadjusted model - OLS - European bidders earn positive abnormal returns both in crossborder and domestic acquisitions, and there is 10 Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn across Europe? More evidences from continental Europe and the UK Research in International Business and Finance returns of acquiring companies located in Continental Europe and the UK from 2002 to 2010 Du, K., & Nicholas, S (2016) Mergers, acquisitions, and bank efficiency: Crosscountryevidence from emerging markets Research in International Business and Finance, 36, 499–510 - Investigate if the relationship between bank mergers, acquisitions (M&A) and the objective of promoting stability in the banking industry - The dataset contains observations between 2002 and 2009, from 120 banks in China, India, Indonesia, Malaysia, Russia, and Thailand Shaban, M., & James, G A - Investigate the effects of outstanding data available from Thomson Reuters (Datastream database) Dependent variable: - Cumulative average abnormal return Independent variables: Variables of main interest: - Type of transaction - Equity stake acquired in the target firm - Method of payment - Relative value of the deal Control variable: - Target firm‟s size - Target public status - Acquirer‟s market leverage - Acquirer‟s past performance - Exchange rate volatility - GDP per capita of the target country - GDP annual growth rate of the target country regression a significant difference between the abnormal returns of stock and cash deals, and between acquisitions of listed and unlisted target companies Input variables: - Fixed assets - Non-interest operating expenses - Interest expenses Output variables: - Net interest income - Other operating income - Data envelopment analysis (DEA) approach - Truncated regression - Regression with panel data - Target banks tend to be more efficient after an M&A but no efficiency improvements are found for acquiring banks Dependent variable: - DEA score Independent variables: - Target: equal to one if bank i in country k at time t had been a target bank in a successful M&A - Acquirer: equal to one if bank i in country k at time t had been a acquiring bank in a successful M&A - Log of total assets of bank i - Log of total equity of bank i (Data source: Bankscope and Zephyr) Dependent variables: - Measures of bank + Tobit model + OLS - State-owned banks tend to be less profitable and - The cross-border wealth effects are not significantly different between the UK and Continental Europe - Bidding firm‟s shareholders gain more in equity than in cash offers if they are located in the UK and if they acquire unlisted targets - Cash bids for listed targets are associated with higher abnormal returns for bidders located in Continental Europe - These results suggest that in emerging countries, bank M&A can lead to efficiency improvements for the combined entity, although target banks are mainly the ones to benefit from it 11 Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn (2017) The effects of ownership change on bank performance and risk exposure: Evidence from indonesia Journal of Banking & Finance ownership change on the performance and exposure to risk of 60 Indonesian commercial banks over the period 2005 2012 performance + CE SCORE: cost efficiency score + CE RANK: cost efficiency rank + PE SCORE: profit efficiencyscore + PE RANK: profit efficiency rank + NIM: net interest margin + ROA: return on average assets + ROE: return on average equity + TCTR: total cost to total revenue ratio + CIR: cost to income ratio - Meaures of exposure to risk + ETA: equity to total assets + TIER1: the tier capital ratio + NCO: net charge offs to average loans + NPL: non-performing loans to total loans + LATA: liquid assetsto total assets + Regression with panel data more exposed to risk than private and foreign banks - Domestic investors tend to select the best performers for acquisition - Domestic acquisition is generally associated with a decrease in the efficiency of the acquired banks - Non-regional foreign acquisition is associated with a reduction in risk exposure - Acquisition by regional foreign investors is associated with performance gains Independent variables: - Static ownership indicators: Dummies indicating a private bank that underwent no changes in ownership over the entire 2005–2012 interval - Selection ownership indicators: Dummies indicating a bank that underwent a domestic acquisition over the entire 2005–2012 interval - Dynamic ownership indicators: + Dummy indicating the years following a bank‟s domestic acquisition + Dummy indicating the years following a bank‟s foreign/regional acquisition Control variables - Dummy indicating a publicly traded bank 12 Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn Li, J., Rajan, R S., & Hattari, R (2016) Drivers of intraregional M&As within developing Asia Journal of the Asia Pacific Economy, 21(1), 116-131 - Examine the extent and determinants of M&As to and from developing Asia over the period 2000 2010 with particular emphasis on the financial drivers of intraregional M&As Rasciute, S., & Downward, P (2016) Explaining variability in the investment location choices of MNEs: An - Examine the variation in foreign direct investment (FDI) location decisions of European multinational - Dummy indicating the business of the acquiring investor - Log of total assets in t-1 for each bank - Market share in t-1 for each bank (Data are from Zephyr and Bankscope) Dependent variable: - Real M&A flow (Zephyr) Independent variables: - Real GDP per capita (World Bank‟s World Development Indicators) - Populations ( World Bank‟s World Development Indicators) - Stock market capitalization (World Bank‟s Financial Structure Dataset) - Capital account openness (Developed by Chinn and Ito, the index is based on four binary dummy variables, viz does the country have multiple exchange rates, current account restrictions, capital account restrictions and requirements of the surrender of export proceeds (as reported in the IMF‟s Annual Report on Exchange Arrangements and Exchange Restrictions (AREAER))) - London Inter Bank Offered Rate (LIBOR) - Bilateral real exchange rate volatility (World Bank‟s World Development Indicators) - Rule of law (World Bank) - Distance and common language dummies (CEPII) - The firm and industrylevel data, including the decision where to locate investment, come from Zephyr Country-level data are from IMF International Financial Statistics and Eurostat - Augmented gravity type model - Between 1990 and 2010, cross-border M&A sales and purchases involving developing Asia grew significantly There was a marked jump in sales within developing Asia post-1997-1998 crisis, with South Korea, Thailand and Indonesia being the greatest beneficiaries - Among the financial drivers, global liquidity and risk conditions, as proxied by LIBOR, consistently shows up as being an important driver of intraregional flows - Latent class random parameters (LCRP) model: a form of multinomial model that combines the - The responsiveness of FDI location choices to country-level factors is heterogeneous both across sectors and across firms of different characteristics as well as unobserved factors 13 Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn exploration of country, industry and firm effects International Business Review enterprises (MNEs.) from 1997 to 2013 Dependent variable: - Choice: An EU country in which a firm from EU15 chooses to locate its investment over the period of time from 1997 to 2013 (takes the value of „1‟ if the country has been chosen as an investment location and „0‟ otherwise) Independent variables: - Real GDP of the host country - A dummy variable: take the value of if investing and investment receiving countries share a common border and zero otherwise - Unemployment rate - Labour costs - Risk of locating capital abroad: captured by the transparency international corruption perception index - EU membership - Tax: ratio between taxes on the income or profits of corporations including holding gains and the respective host country‟s GDP of the year investment took place - Investing firm‟s size: number of employees in the investing firm of the year investment took place - Science: if investmentreceiving industry is science-based industry, and otherwise - Scale: if investmentreceiving industry is scaleintensive industry, and otherwise - Tradit: if investmentreceiving industry is traditional industry, and otherwise - Services: if investmentreceiving industry is service sector, and otherwise … latent class model with the random parameters model in order to accommodate two layers of unobserved heterogeneity - Conditional Logit (CL) model For example, the results show that the importance of market size increases with investing firm‟s size and skill intensity, while proximity between countries, as well as cultural and linguistic ties are more important for smaller firms 14 Trung tâm Dữ liệu - Phân tích kinh tế www.cdea.ueh.edu.vn Tài liệu tham khảo Du, K., & Nicholas, S (2016) Mergers, acquisitions, and bank efficiency: Crosscountryevidence from emerging markets Research in International Business and Finance, 36, 499–510 Li, J., Rajan, R S., & Hattari, R (2016) Drivers of intraregional M&As within developing Asia Journal of the Asia Pacific Economy, 21(1), 116-131 Mateev, M (2017) Is the M&A announcement effect different across Europe? More evidences from continental Europe and the UK Research in International Business and Finance Rasciute, S., & Downward, P (2016) Explaining variability in the investment location choices of MNEs: An exploration of country, industry and firm effects International Business Review Shaban, M., & James, G A (2017) The effects of ownership change on bank performance and risk exposure: Evidence from indonesia Journal of Banking & Finance Stiebale, J (2016) Cross-border M&As and innovative activity of acquiring and target firms Journal of International Economics, 99, 1-15 15